Ivy,
Any weight bearing exercise is good for building bone density. I'm not a doctor, but I do have bone density issues, so I'm operating on the assumption that the more weight that you bear the better. You will also get results from higher impact (unfortunately that's harder on the joints).
I would say that if you don't have bone density loss yet, that you'll be just fine by doing some Pilates and some traditional strength training. If you're worried about it, ask you doctor for a bone density test -- although your insurance might not cover it until you reach a certain age (maybe 40?).
For me personally, I am very happy to report that I have achieved some improvement from strength training -- in fact, more improvement than I got from taking a prescription which had really awful side effects -- very painful joint issues that actually made it difficult to exercise. How do they figure that it's better to take the drug??
Anyway IMO, I think that strength training is maybe a little bit better because you can really go heavy. However, I still like to mix in Pilates because I think it is good for balance, which is also important to prevent falls. Other than that, if you have a choice between higher or lower impact on your cardio workouts, go with the higher impact (even walking as opposed to cycling). But of course, mixing things up is always best so you don't overdo in some way.
Jane